Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.3429
Annualized Std Dev 0.6259
Annualized Sharpe (Rf=0%) -0.5478

Row

Daily Return Statistics

Close
Observations 3557.0000
NAs 1.0000
Minimum -0.3391
Quartile 1 -0.0146
Median -0.0018
Arithmetic Mean -0.0009
Geometric Mean -0.0017
Quartile 3 0.0126
Maximum 0.3573
SE Mean 0.0007
LCL Mean (0.95) -0.0022
UCL Mean (0.95) 0.0004
Variance 0.0016
Stdev 0.0394
Skewness -0.0687
Kurtosis 14.7673

Downside Risk

Close
Semi Deviation 0.0279
Gain Deviation 0.0325
Loss Deviation 0.0314
Downside Deviation (MAR=210%) 0.0323
Downside Deviation (Rf=0%) 0.0283
Downside Deviation (0%) 0.0283
Maximum Drawdown 0.9993
Historical VaR (95%) -0.0500
Historical ES (95%) -0.0988
Modified VaR (95%) -0.0547
Modified ES (95%) -0.0547
From Trough To Depth Length To Trough Recovery
2008-11-21 2021-03-15 NA -0.9993 3102 3097 NA
2008-01-22 2008-09-19 2008-10-09 -0.5043 183 169 14
2008-10-28 2008-11-04 2008-11-19 -0.4484 17 6 11
2007-08-16 2007-10-05 2007-11-26 -0.3265 71 36 35
2008-10-10 2008-10-13 2008-10-15 -0.3028 4 2 2

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA -0.2 -1.8 1.6 0 1.2 -1.8 -3.8 -4.4 6.7 -3.3 -1.5 -7.6
2008 -6.6 3.4 -9.5 -4.8 1.2 -0.6 -0.6 1.2 1.8 -12.4 35.7 -9.7 -7.8
2009 6.5 2.5 1.8 6.6 -8.4 -2.2 -0.1 10.3 8.5 3.8 -2.5 3.9 33.4
2010 -3.3 -1.8 -1.3 6.3 4.2 0.3 -0.9 -6.3 -1.1 -1.5 -1.8 0.3 -7.1
2011 -1 5.6 -0.8 0.9 5.6 -3.5 2.3 3.3 5.5 6.5 2 0.9 30.2
2012 -1.6 -1.1 -1.5 -1.8 5.2 -4.5 0.4 -0.5 1.2 -0.1 -1 -1.8 -7.1
2013 -1 -0.3 -0.6 1.2 1.8 0.8 0.9 1.4 -3 -1.1 1.9 0.8 2.6
2014 -0.8 -1.4 -0.8 -1.5 -1 -0.6 0.3 -1.1 -0.2 -1.6 0.6 3.1 -5
2015 3.5 -1.6 -0.1 -1.4 -2.1 -2.9 -1.3 3.8 -0.9 1.6 -2.4 1.4 -2.7
2016 0 -5.3 -0.2 1.7 -0.1 -0.1 -0.7 0.4 1 4 3 -1.9 1.5
2017 2.1 0.7 -1.1 -1.4 -1.1 0.2 -0.7 0 -0.2 -0.1 -0.4 0.1 -2
2018 3.5 0.7 -0.2 -1.4 -0.8 -0.4 -0.9 -0.5 1.8 -0.8 -1.6 -0.3 -0.8
2019 1.3 0.4 0.1 0 -1.1 0.4 0.2 -0.2 1.9 0.2 1 -1.5 2.7
2020 2.3 4.5 12.9 6.7 -4.7 -4.5 0.3 -0.3 -3.9 1.2 -2.4 -2 9.2
2021 -4.8 -0.8 2.5 NA NA NA NA NA NA NA NA NA -3.1

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2007-02-01 4122. SPY    145.  6.00e-3   0.0165   0.0211   0.0493    0.134    0.274    0.293 GLD    65.2  0.006    0.0181
2 2007-02-02 4088. SPY    145.  1.40e-3   0.0186   0.0243   0.0509    0.128    0.271    0.280 GLD    64.3 -0.0144   0.0028
3 2007-02-05 4079. SPY    145.  3.00e-4   0.0197   0.0224   0.0584    0.141    0.273    0.286 GLD    64.3  0.0005   0.0085
4 2007-02-06 3968. SPY    145.  3.00e-4   0.0147   0.031    0.0593    0.148    0.284    0.319 GLD    64.8  0.0075   0.0089
5 2007-02-07 3833. SPY    145.  2.20e-3   0.0102   0.0285   0.0635    0.147    0.283    0.330 GLD    64.6 -0.0025  -0.0031
6 2007-02-08 3900. SPY    145. -1.30e-3   0.0028   0.028    0.0503    0.156    0.267    0.334 GLD    65.5  0.0138   0.0046
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart